The densely packed antennas of millimeter-Wave (mmWave) MIMO systems are often blocked by the rain, snow, dust and even by fingers, which will change the channel's characteristics and degrades the system's performance. In order to solve this problem, we propose a cross-entropy inspired antenna array diagnosis detection (CE-AAD) technique by exploiting the correlations of adjacent antennas, when blockages occur at the transmitter. Then, we extend the proposed CE-AAD algorithm to the case, where blockages occur at transmitter and receiver simultaneously. Our simulation results show that the proposed CE-AAD algorithm outperforms its traditional counterparts.